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A portfolio credit derivative is a contingent claim on the aggregate loss of a portfolio of credit sensitive securities such as bonds and credit swaps. We propose an affine point process as a dynamic model of portfolio loss. The recovery at each default is random and events are governed by an intensity that is driven by affine jump diffusion risk factors.(More)
  • Clara Bodel´on, Robert L Devaney, Michael Hayes, Gareth Roberts, Lisa R Goldberg, John H Hubbard
  • 1999
In this paper we consider both the dynamical and parameter planes for the complex exponential family E λ (z) = λe z where the parameter λ is complex. We show that there are infinitely many curves or " hairs " in the dynamical plane that contain points whose orbits under E λ tend to infinity and hence are in the Julia set. We also show that there are similar(More)
A multi-name credit derivative is a security tied to an underlying portfolio of corporate bonds or other credit-sensitive securities. It enables investors to buy and sell protection against the default losses in the portfolio. The value of a multi-name derivative depends on the distribution of portfolio loss at multiple horizons. Intensity-based models of(More)
  • Kay Giesecke, Lisa R Goldberg, Greg Anderson, Tim Backshall, Roveen Bhansali, Ursula Gritsch +1 other
  • 2004
We give an empirical assessment of I 2 , a structural credit model based on incomplete information. In this model, investors cannot observe a firm's default barrier. As a consequence, I 2 exhibits both the economic appeal of a structural model and the tractable pricing formulae and empirical plausibility of a reduced form model. We compare default(More)
  • Kay Giesecke, Lisa R Goldberg, Greg Anderson, Tim Backshall, Roveen Bhansali, Ursula Gritsch +6 others
  • 2003
We describe the relationship between physical probability of default and prices of credit sensitive securities. Our starting point is I 2 , a first passage time model of default based on incomplete information. The I 2 model incorporates the unpredictable nature of default and thereby accounts for positive short spreads and the abrupt drops in prices of(More)
Previous research suggests that morphology and arborization of dendritic spines change as a result of fear conditioning in cortical and subcortical brain regions. This study uniquely aims to delineate these structural changes in the basolateral amygdala (BLA) after both fear conditioning and fear extinction. C57BL/6 mice acquired robust conditioned fear(More)
The authors gauged the return-generating potential of four investment strategies: value weighted, 60/40 fixed mix, and unlevered and levered risk parity. They report three main findings: (1) Even over periods lasting decades, the start and end dates of a backtest can have a material effect on results; (2) transaction costs can reverse ranking, especially if(More)